On the volatility of the yield curve of the Colombian public debt market
This paper estimates the volatility of the Temporary Structure of Interest Rates (ETTI) of the Colombian public debt market and explains its relationship with macroeconomics fundamentals. Starting from the parametric model proposed by Nelson and Siegel (1987), the ETTI is estimated in order to captu...
- Autores:
-
Sánchez, José Miguel
Trespalacios Carrasquilla, Alfredo
- Tipo de recurso:
- Fecha de publicación:
- 2018
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/13121
- Acceso en línea:
- http://hdl.handle.net/10784/13121
- Palabra clave:
- E43
E44
temporary structure of interest rates
Volatility
Autoregressive vectors
Principal components
Causality
Estructura temporal de las tasas de interés
Volatilidad
Vectores autorregresivos
Componentes principales
Causalidad
- Rights
- License
- Copyright (c) 2018 José Miguel Sánchez, Alfredo Trespalacios Carrasquilla